Riemannian quasi-Newton methods

Manopt.quasi_Newton — Function

quasi_Newton(M, F, gradF, x)

Perform a quasi Newton iteration for F on the manifold M starting in the point x using a retraction $R$ and a vector transport $T$

The $k$th iteration consists of

Compute the search direction $η_k = -\mathcal{B}_k [\operatorname{grad}f (x_k)]$ or solve $\mathcal{H}_k [η_k] = -\operatorname{grad}f (x_k)]$.
Determine a suitable stepsize $α_k$ along the curve $\gamma(α) = R_{x_k}(α η_k)$ e.g. by using WolfePowellLinesearch.
Compute $x_{k+1} = R_{x_k}(α_k η_k)$.
Define $s_k = T_{x_k, α_k η_k}(α_k η_k)$ and $y_k = \operatorname{grad}f(x_{k+1}) - T_{x_k, α_k η_k}(\operatorname{grad}f(x_k))$.
Compute the new approximate Hessian $H_{k+1}$ or its inverse $B_k$.

Input

M – a manifold $\mathcal{M}$.
F – a cost function $F : \mathcal{M} →ℝ$ to minimize.
gradF– the gradient $\operatorname{grad}F : \mathcal{M} →T_x\mathcal M$ of $F$.
x – an initial value $x ∈ \mathcal{M}$.

Optional

basis – (DefaultOrthonormalBasis()) basis within the tangent space(s) to represent the Hessian (inverse).
cautious_update – (false) – whether or not to use a QuasiNewtonCautiousDirectionUpdate
cautious_function – ((x) -> x*10^(-4)) – a monotone increasing function that is zero at 0 and strictly increasing at 0 for the cautious update.
direction_update – (InverseBFGS()) the update rule to use.
evaluation – (AllocatingEvaluation) specify whether the gradient works by allocation (default) form gradF(M, x) or MutatingEvaluation in place, i.e. is of the form gradF!(M, X, x).
initial_operator – (Matrix{Float64}(I,n,n)) initial matrix to use die the approximation, where n=manifold_dimension(M), see also scale_initial_operator.
memory_size – (20) limited memory, number of $s_k, y_k$ to store. Set to a negative value to use a full memory representation
retraction_method – (default_retraction_method(M)) a retraction method to use, by default the exponential map.
scale_initial_operator - (true) scale initial operator with $\frac{⟨s_k,y_k⟩_{x_k}}{\lVert y_k\rVert_{x_k}}$ in the computation
stabilize – (true) stabilize the method numerically by projecting computed (Newton-) directions to the tangent space to reduce numerical errors
stepsize – (WolfePowellLinesearch(retraction_method, vector_transport_method)) specify a Stepsize.
stopping_criterion - (StopWhenAny(StopAfterIteration(max(1000, memory_size)), StopWhenGradientNormLess(10^(-6))) specify a StoppingCriterion
vector_transport_method – (default_vector_transport_method(M)) a vector transport to use.

Output

the obtained (approximate) minimizer $x^*$, see get_solver_return for details

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Manopt.quasi_Newton! — Function

quasi_Newton!(M, F, gradF, x; options...)

Perform a quasi Newton iteration for F on the manifold M starting in the point x using a retraction $R$ and a vector transport $T$.

Input

M – a manifold $\mathcal{M}$.
F – a cost function $F: \mathcal{M} →ℝ$ to minimize.
gradF– the gradient $\operatorname{grad}F : \mathcal{M} → T_x\mathcal M$ of $F$ implemented as gradF(M,p).
x – an initial value $x ∈ \mathcal{M}$.

For all optional parameters, see quasi_Newton.

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Background

The aim is to minimize a real-valued function on a Riemannian manifold, i.e.

\[\min f(x), \quad x ∈ \mathcal{M}.\]

Riemannian quasi-Newtonian methods are as generalizations of their Euclidean counterparts Riemannian line search methods. These methods determine a search direction $η_k ∈ T_{x_k} \mathcal{M}$ at the current iterate $x_k$ and a suitable stepsize $α_k$ along $\gamma(α) = R_{x_k}(α η_k)$, where $R: T \mathcal{M} →\mathcal{M}$ is a retraction. The next iterate is obtained by

\[x_{k+1} = R_{x_k}(α_k η_k).\]

In quasi-Newton methods, the search direction is given by

\[η_k = -{\mathcal{H}_k}^{-1}[\operatorname{grad}f (x_k)] = -\mathcal{B}_k [\operatorname{grad} (x_k)],\]

where $\mathcal{H}_k : T_{x_k} \mathcal{M} →T_{x_k} \mathcal{M}$ is a positive definite self-adjoint operator, which approximates the action of the Hessian $\operatorname{Hess} f (x_k)[⋅]$ and $\mathcal{B}_k = {\mathcal{H}_k}^{-1}$. The idea of quasi-Newton methods is instead of creating a complete new approximation of the Hessian operator $\operatorname{Hess} f(x_{k+1})$ or its inverse at every iteration, the previous operator $\mathcal{H}_k$ or $\mathcal{B}_k$ is updated by a convenient formula using the obtained information about the curvature of the objective function during the iteration. The resulting operator $\mathcal{H}_{k+1}$ or $\mathcal{B}_{k+1}$ acts on the tangent space $T_{x_{k+1}} \mathcal{M}$ of the freshly computed iterate $x_{k+1}$. In order to get a well-defined method, the following requirements are placed on the new operator $\mathcal{H}_{k+1}$ or $\mathcal{B}_{k+1}$ that is created by an update. Since the Hessian $\operatorname{Hess} f(x_{k+1})$ is a self-adjoint operator on the tangent space $T_{x_{k+1}} \mathcal{M}$, and $\mathcal{H}_{k+1}$ approximates it, we require that $\mathcal{H}_{k+1}$ or $\mathcal{B}_{k+1}$ is also self-adjoint on $T_{x_{k+1}} \mathcal{M}$. In order to achieve a steady descent, we want $η_k$ to be a descent direction in each iteration. Therefore we require, that $\mathcal{H}_{k+1}$ or $\mathcal{B}_{k+1}$ is a positive definite operator on $T_{x_{k+1}} \mathcal{M}$. In order to get information about the curvature of the objective function into the new operator $\mathcal{H}_{k+1}$ or $\mathcal{B}_{k+1}$, we require that it satisfies a form of a Riemannian quasi-Newton equation:

\[\mathcal{H}_{k+1} [T_{x_k \rightarrow x_{k+1}}({R_{x_k}}^{-1}(x_{k+1}))] = \operatorname{grad}(x_{k+1}) - T_{x_k \rightarrow x_{k+1}}(\operatorname{grad}f(x_k))\]

\[\mathcal{B}_{k+1} [\operatorname{grad}f(x_{k+1}) - T_{x_k \rightarrow x_{k+1}}(\operatorname{grad}f(x_k))] = T_{x_k \rightarrow x_{k+1}}({R_{x_k}}^{-1}(x_{k+1}))\]

where $T_{x_k \rightarrow x_{k+1}} : T_{x_k} \mathcal{M} →T_{x_{k+1}} \mathcal{M}$ and the chosen retraction $R$ is the associated retraction of $T$. We note that, of course, not all updates in all situations will meet these conditions in every iteration. For specific quasi-Newton updates, the fulfillment of the Riemannian curvature condition, which requires that

\[g_{x_{k+1}}(s_k, y_k) > 0\]

holds, is a requirement for the inheritance of the self-adjointness and positive definiteness of the $\mathcal{H}_k$ or $\mathcal{B}_k$ to the operator $\mathcal{H}_{k+1}$ or $\mathcal{B}_{k+1}$. Unfortunately, the fulfillment of the Riemannian curvature condition is not given by a step size $\alpha_k > 0$ that satisfies the generalized Wolfe conditions. However, in order to create a positive definite operator $\mathcal{H}_{k+1}$ or $\mathcal{B}_{k+1}$ in each iteration, the so-called locking condition was introduced in ^{[HuangGallivanAbsil2015]}, which requires that the isometric vector transport $T^S$, which is used in the update formula, and its associate retraction $R$ fulfill

\[T^{S}{x, ξ_x}(ξ_x) = β T^{R}{x, ξ_x}(ξ_x), \quad β = \frac{\lVert ξ_x \rVert_x}{\lVert T^{R}{x, ξ_x}(ξ_x) \rVert_{R_{x}(ξ_x)}},\]

where $T^R$ is the vector transport by differentiated retraction. With the requirement that the isometric vector transport $T^S$ and its associated retraction $R$ satisfies the locking condition and using the tangent vector

\[y_k = {β_k}^{-1} \operatorname{grad}f(x_{k+1}) - T^{S}{x_k, α_k η_k}(\operatorname{grad}f(x_k)),\]

where

\[β_k = \frac{\lVert α_k η_k \rVert_{x_k}}{\lVert T^{R}{x_k, α_k η_k}(α_k η_k) \rVert_{x_{k+1}}},\]

in the update, it can be shown that choosing a stepsize $α_k > 0$ that satisfies the Riemannian Wolfe conditions leads to the fulfillment of the Riemannian curvature condition, which in turn implies that the operator generated by the updates is positive definite. In the following we denote the specific operators in matrix notation and hence use $H_k$ and $B_k$, respectively.

Direction Updates

In general there are different ways to compute a fixed AbstractQuasiNewtonUpdateRule. In general these are represented by

Manopt.AbstractQuasiNewtonDirectionUpdate — Type

AbstractQuasiNewtonDirectionUpdate

An abstract representation of an Quasi Newton Update rule to determine the next direction given current QuasiNewtonOptions.

All subtypes should be functors, i.e. one should be able to call them as H(M,x,d) to compute a new direction update.

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Manopt.QuasiNewtonMatrixDirectionUpdate — Type

QuasiNewtonMatrixDirectionUpdate <: AbstractQuasiNewtonDirectionUpdate

These AbstractQuasiNewtonDirectionUpdates represent any quasi-Newton update rule, where the operator is stored as a matrix. A distinction is made between the update of the approximation of the Hessian, $H_k \mapsto H_{k+1}$, and the update of the approximation of the Hessian inverse, $B_k \mapsto B_{k+1}$. For the first case, the coordinates of the search direction $η_k$ with respect to a basis $\{b_i\}^{n}_{i=1}$ are determined by solving a linear system of equations, i.e.

\[\text{Solve} \quad \hat{η_k} = - H_k \widehat{\operatorname{grad}f(x_k)}\]

where $H_k$ is the matrix representing the operator with respect to the basis $\{b_i\}^{n}_{i=1}$ and $\widehat{\operatorname{grad}f(x_k)}$ represents the coordinates of the gradient of the objective function $f$ in $x_k$ with respect to the basis $\{b_i\}^{n}_{i=1}$. If a method is chosen where Hessian inverse is approximated, the coordinates of the search direction $η_k$ with respect to a basis $\{b_i\}^{n}_{i=1}$ are obtained simply by matrix-vector multiplication, i.e.

\[\hat{η_k} = - B_k \widehat{\operatorname{grad}f(x_k)}\]

where $B_k$ is the matrix representing the operator with respect to the basis $\{b_i\}^{n}_{i=1}$ and $\widehat{\operatorname{grad}f(x_k)}$ as above. In the end, the search direction $η_k$ is generated from the coordinates $\hat{eta_k}$ and the vectors of the basis $\{b_i\}^{n}_{i=1}$ in both variants. The AbstractQuasiNewtonUpdateRule indicates which quasi-Newton update rule is used. In all of them, the Euclidean update formula is used to generate the matrix $H_{k+1}$ and $B_{k+1}$, and the basis $\{b_i\}^{n}_{i=1}$ is transported into the upcoming tangent space $T_{x_{k+1}} \mathcal{M}$, preferably with an isometric vector transport, or generated there.

Fields

basis – the basis.
matrix – the matrix which represents the approximating operator.
scale – indicates whether the initial matrix (= identity matrix) should be scaled before the first update.
update – a AbstractQuasiNewtonUpdateRule.
vector_transport_method – an AbstractVectorTransportMethod

Constructor

QuasiNewtonMatrixDirectionUpdate(M::AbstractMatrix, update, basis, matrix;
scale=true, vector_transport_method=default_vector_transport_method(M))

Generate the Update rule with defaults from a manifold and the names corresponding to the fields above.

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Manopt.QuasiNewtonLimitedMemoryDirectionUpdate — Type

QuasiNewtonLimitedMemoryDirectionUpdate <: AbstractQuasiNewtonDirectionUpdate

This AbstractQuasiNewtonDirectionUpdate represents the limited-memory Riemanian BFGS update, where the approximating operator is represented by $m$ stored pairs of tangent vectors $\{ \widetilde{s}_i, \widetilde{y}_i\}_{i=k-m}^{k-1}$ in the $k$-th iteration. For the calculation of the search direction $η_k$, the generalisation of the two-loop recursion is used (see ^{[HuangGallivanAbsil2015]}), since it only requires inner products and linear combinations of tangent vectors in $T_{x_k} \mathcal{M}$. For that the stored pairs of tangent vectors $\{ \widetilde{s}_i, \widetilde{y}_i\}_{i=k-m}^{k-1}$, the gradient $\operatorname{grad}f(x_k)$ of the objective function $f$ in $x_k$ and the positive definite self-adjoint operator

\[\mathcal{B}^{(0)}_k[⋅] = \frac{g_{x_k}(s_{k-1}, y_{k-1})}{g_{x_k}(y_{k-1}, y_{k-1})} \; \mathrm{id}_{T_{x_k} \mathcal{M}}[⋅]\]

are used. The two-loop recursion can be understood as that the InverseBFGS update is executed $m$ times in a row on $\mathcal{B}^{(0)}_k[⋅]$ using the tangent vectors $\{ \widetilde{s}_i, \widetilde{y}_i\}_{i=k-m}^{k-1}$, and in the same time the resulting operator $\mathcal{B}^{LRBFGS}_k [⋅]$ is directly applied on $\operatorname{grad}f(x_k)$. When updating there are two cases: if there is still free memory, i.e. $k < m$, the previously stored vector pairs $\{ \widetilde{s}_i, \widetilde{y}_i\}_{i=k-m}^{k-1}$ have to be transported into the upcoming tangent space $T_{x_{k+1}} \mathcal{M}$; if there is no free memory, the oldest pair $\{ \widetilde{s}_{k−m}, \widetilde{y}_{k−m}\}$ has to be discarded and then all the remaining vector pairs $\{ \widetilde{s}_i, \widetilde{y}_i\}_{i=k-m+1}^{k-1}$ are transported into the tangent space $T_{x_{k+1}} \mathcal{M}$. After that we calculate and store $s_k = \widetilde{s}_k = T^{S}_{x_k, α_k η_k}(α_k η_k)$ and $y_k = \widetilde{y}_k$. This process ensures that new information about the objective function is always included and the old, probably no longer relevant, information is discarded.

Fields

memory_s – the set of the stored (and transported) search directions times step size $\{ \widetilde{s}_i\}_{i=k-m}^{k-1}$.
memory_y – set of the stored gradient differences $\{ \widetilde{y}_i\}_{i=k-m}^{k-1}$.
ξ – a variable used in the two-loop recursion.
ρ – a variable used in the two-loop recursion.
scale –
vector_transport_method – a AbstractVectorTransportMethod

Constructor

QuasiNewtonLimitedMemoryDirectionUpdate(
    M::AbstractManifold,
    x,
    update::AbstractQuasiNewtonUpdateRule,
    memory_size;
    initial_vector=zero_vector(M,x),
    scale=1.0
    project=true
    )

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Manopt.QuasiNewtonCautiousDirectionUpdate — Type

QuasiNewtonCautiousDirectionUpdate <: AbstractQuasiNewtonDirectionUpdate

These AbstractQuasiNewtonDirectionUpdates represent any quasi-Newton update rule, which are based on the idea of a so-called cautious update. The search direction is calculated as given in QuasiNewtonMatrixDirectionUpdate or QuasiNewtonLimitedMemoryDirectionUpdate, butut the update then is only executed if

\[\frac{g_{x_{k+1}}(y_k,s_k)}{\lVert s_k \rVert^{2}_{x_{k+1}}} \geq \theta(\lVert \operatorname{grad}f(x_k) \rVert_{x_k}),\]

is satisfied, where $\theta$ is a monotone increasing function satisfying $\theta(0) = 0$ and $\theta$ is strictly increasing at $0$. If this is not the case, the corresponding update will be skipped, which means that for QuasiNewtonMatrixDirectionUpdate the matrix $H_k$ or $B_k$ is not updated. The basis $\{b_i\}^{n}_{i=1}$ is nevertheless transported into the upcoming tangent space $T_{x_{k+1}} \mathcal{M}$, and for QuasiNewtonLimitedMemoryDirectionUpdate neither the oldest vector pair $\{ \widetilde{s}_{k−m}, \widetilde{y}_{k−m}\}$ is discarded nor the newest vector pair $\{ \widetilde{s}_{k}, \widetilde{y}_{k}\}$ is added into storage, but all stored vector pairs $\{ \widetilde{s}_i, \widetilde{y}_i\}_{i=k-m}^{k-1}$ are transported into the tangent space $T_{x_{k+1}} \mathcal{M}$. If InverseBFGS or InverseBFGS is chosen as update, then the resulting method follows the method of ^{[HuangAbsilGallivan2018]}, taking into account that the corresponding step size is chosen.

Fields

update – an AbstractQuasiNewtonDirectionUpdate
θ – a monotone increasing function satisfying $θ(0) = 0$ and $θ$ is strictly increasing at $0$.

Constructor

QuasiNewtonCautiousDirectionUpdate(U::QuasiNewtonMatrixDirectionUpdate; θ = x -> x)
QuasiNewtonCautiousDirectionUpdate(U::QuasiNewtonLimitedMemoryDirectionUpdate; θ = x -> x)

Generate a cautious update for either a matrix based or a limited memorz based update rule.

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Hessian Update Rules

Using

Manopt.update_hessian! — Function

update_hessian!(d, p, o, x_old, iter)

update the hessian wihtin the QuasiNewtonOptions o given a Problem p as well as the an AbstractQuasiNewtonDirectionUpdate d and the last iterate x_old. Note that the current (iterth) iterate is already stored in o.x.

See also AbstractQuasiNewtonUpdateRule for the different rules that are available within d.

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the following update formulae for either $H_{k+1}$ or $B_{k+1}$ are available.

Manopt.AbstractQuasiNewtonUpdateRule — Type

AbstractQuasiNewtonUpdateRule

Specify a type for the different AbstractQuasiNewtonDirectionUpdates.

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Manopt.BFGS — Type

BFGS <: AbstractQuasiNewtonUpdateRule

indicates in AbstractQuasiNewtonDirectionUpdate that the Riemanian BFGS update is used in the Riemannian quasi-Newton method.

We denote by $\widetilde{H}_k^\mathrm{BFGS}$ the operator concatenated with a vector transport and its inverse before and after to act on $x_{k+1} = R_{x_k}(α_k η_k)$. Then the update formula reads

\[H^\mathrm{BFGS}_{k+1} = \widetilde{H}^\mathrm{BFGS}_k + \frac{y_k y^{\mathrm{T}}_k }{s^{\mathrm{T}}_k y_k} - \frac{\widetilde{H}^\mathrm{BFGS}_k s_k s^{\mathrm{T}}_k \widetilde{H}^\mathrm{BFGS}_k }{s^{\mathrm{T}}_k \widetilde{H}^\mathrm{BFGS}_k s_k}\]

where $s_k$ and $y_k$ are the coordinate vectors with respect to the current basis (from QuasiNewtonOptions) of

\[T^{S}_{x_k, α_k η_k}(α_k η_k) \quad\text{and}\quad \operatorname{grad}f(x_{k+1}) - T^{S}_{x_k, α_k η_k}(\operatorname{grad}f(x_k)) ∈ T_{x_{k+1}} \mathcal{M},\]

respectively.

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Manopt.DFP — Type

DFP <: AbstractQuasiNewtonUpdateRule

indicates in an AbstractQuasiNewtonDirectionUpdate that the Riemanian DFP update is used in the Riemannian quasi-Newton method.

We denote by $\widetilde{H}_k^\mathrm{DFP}$ the operator concatenated with a vector transport and its inverse before and after to act on $x_{k+1} = R_{x_k}(α_k η_k)$. Then the update formula reads

\[H^\mathrm{DFP}_{k+1} = \Bigl( \mathrm{id}_{T_{x_{k+1}} \mathcal{M}} - \frac{y_k s^{\mathrm{T}}_k}{s^{\mathrm{T}}_k y_k} \Bigr) \widetilde{H}^\mathrm{DFP}_k \Bigl( \mathrm{id}_{T_{x_{k+1}} \mathcal{M}} - \frac{s_k y^{\mathrm{T}}_k}{s^{\mathrm{T}}_k y_k} \Bigr) + \frac{y_k y^{\mathrm{T}}_k}{s^{\mathrm{T}}_k y_k}\]

where $s_k$ and $y_k$ are the coordinate vectors with respect to the current basis (from QuasiNewtonOptions) of

\[T^{S}_{x_k, α_k η_k}(α_k η_k) \quad\text{and}\quad \operatorname{grad}f(x_{k+1}) - T^{S}_{x_k, α_k η_k}(\operatorname{grad}f(x_k)) ∈ T_{x_{k+1}} \mathcal{M},\]

respectively.

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Manopt.Broyden — Type

Broyden <: AbstractQuasiNewtonUpdateRule

indicates in AbstractQuasiNewtonDirectionUpdate that the Riemanian Broyden update is used in the Riemannian quasi-Newton method, which is as a convex combination of BFGS and DFP.

We denote by $\widetilde{H}_k^\mathrm{Br}$ the operator concatenated with a vector transport and its inverse before and after to act on $x_{k+1} = R_{x_k}(α_k η_k)$. Then the update formula reads

\[H^\mathrm{Br}_{k+1} = \widetilde{H}^\mathrm{Br}_k - \frac{\widetilde{H}^\mathrm{Br}_k s_k s^{\mathrm{T}}_k \widetilde{H}^\mathrm{Br}_k}{s^{\mathrm{T}}_k \widetilde{H}^\mathrm{Br}_k s_k} + \frac{y_k y^{\mathrm{T}}_k}{s^{\mathrm{T}}_k y_k} + φ_k s^{\mathrm{T}}_k \widetilde{H}^\mathrm{Br}_k s_k \Bigl( \frac{y_k}{s^{\mathrm{T}}_k y_k} - \frac{\widetilde{H}^\mathrm{Br}_k s_k}{s^{\mathrm{T}}_k \widetilde{H}^\mathrm{Br}_k s_k} \Bigr) \Bigl( \frac{y_k}{s^{\mathrm{T}}_k y_k} - \frac{\widetilde{H}^\mathrm{Br}_k s_k}{s^{\mathrm{T}}_k \widetilde{H}^\mathrm{Br}_k s_k} \Bigr)^{\mathrm{T}}\]

where $s_k$ and $y_k$ are the coordinate vectors with respect to the current basis (from QuasiNewtonOptions) of

\[T^{S}_{x_k, α_k η_k}(α_k η_k) \quad\text{and}\quad \operatorname{grad}f(x_{k+1}) - T^{S}_{x_k, α_k η_k}(\operatorname{grad}f(x_k)) ∈ T_{x_{k+1}} \mathcal{M},\]

respectively, and $φ_k$ is the Broyden factor which is :constant by default but can also be set to :Davidon.

Constructor

Broyden(φ, update_rule::Symbol = :constant)

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Manopt.SR1 — Type

SR1 <: AbstractQuasiNewtonUpdateRule

indicates in AbstractQuasiNewtonDirectionUpdate that the Riemanian SR1 update is used in the Riemannian quasi-Newton method.

We denote by $\widetilde{H}_k^\mathrm{SR1}$ the operator concatenated with a vector transport and its inverse before and after to act on $x_{k+1} = R_{x_k}(α_k η_k)$. Then the update formula reads

\[H^\mathrm{SR1}_{k+1} = \widetilde{H}^\mathrm{SR1}_k + \frac{ (y_k - \widetilde{H}^\mathrm{SR1}_k s_k) (y_k - \widetilde{H}^\mathrm{SR1}_k s_k)^{\mathrm{T}} }{ (y_k - \widetilde{H}^\mathrm{SR1}_k s_k)^{\mathrm{T}} s_k }\]

where $s_k$ and $y_k$ are the coordinate vectors with respect to the current basis (from QuasiNewtonOptions) of

\[T^{S}_{x_k, α_k η_k}(α_k η_k) \quad\text{and}\quad \operatorname{grad}f(x_{k+1}) - T^{S}_{x_k, α_k η_k}(\operatorname{grad}f(x_k)) ∈ T_{x_{k+1}} \mathcal{M},\]

respectively.

This method can be stabilized by only performing the update if denominator is larger than $r\lVert s_k\rVert_{x_{k+1}}\lVert y_k - \widetilde{H}^\mathrm{SR1}_k s_k \rVert_{x_{k+1}}$ for some $r>0$. For more details, see Section 6.2 in ^{[NocedalWright2006]}

Constructor

SR1(r::Float64=-1.0)

Generate the SR1 update, which by default does not include the check (since the default sets $t<0$`)

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Manopt.InverseBFGS — Type

InverseBFGS <: AbstractQuasiNewtonUpdateRule

indicates in AbstractQuasiNewtonDirectionUpdate that the inverse Riemanian BFGS update is used in the Riemannian quasi-Newton method.

We denote by $\widetilde{B}_k^\mathrm{BFGS}$ the operator concatenated with a vector transport and its inverse before and after to act on $x_{k+1} = R_{x_k}(α_k η_k)$. Then the update formula reads

\[B^\mathrm{BFGS}_{k+1} = \Bigl( \mathrm{id}_{T_{x_{k+1}} \mathcal{M}} - \frac{s_k y^{\mathrm{T}}_k }{s^{\mathrm{T}}_k y_k} \Bigr) \widetilde{B}^\mathrm{BFGS}_k \Bigl( \mathrm{id}_{T_{x_{k+1}} \mathcal{M}} - \frac{y_k s^{\mathrm{T}}_k }{s^{\mathrm{T}}_k y_k} \Bigr) + \frac{s_k s^{\mathrm{T}}_k}{s^{\mathrm{T}}_k y_k}\]

where $s_k$ and $y_k$ are the coordinate vectors with respect to the current basis (from QuasiNewtonOptions) of

\[T^{S}_{x_k, α_k η_k}(α_k η_k) \quad\text{and}\quad \operatorname{grad}f(x_{k+1}) - T^{S}_{x_k, α_k η_k}(\operatorname{grad}f(x_k)) ∈ T_{x_{k+1}} \mathcal{M},\]

respectively.

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Manopt.InverseDFP — Type

InverseDFP <: AbstractQuasiNewtonUpdateRule

indicates in AbstractQuasiNewtonDirectionUpdate that the inverse Riemanian DFP update is used in the Riemannian quasi-Newton method.

We denote by $\widetilde{B}_k^\mathrm{DFP}$ the operator concatenated with a vector transport and its inverse before and after to act on $x_{k+1} = R_{x_k}(α_k η_k)$. Then the update formula reads

\[B^\mathrm{DFP}_{k+1} = \widetilde{B}^\mathrm{DFP}_k + \frac{s_k s^{\mathrm{T}}_k}{s^{\mathrm{T}}_k y_k} - \frac{\widetilde{B}^\mathrm{DFP}_k y_k y^{\mathrm{T}}_k \widetilde{B}^\mathrm{DFP}_k}{y^{\mathrm{T}}_k \widetilde{B}^\mathrm{DFP}_k y_k}\]

where $s_k$ and $y_k$ are the coordinate vectors with respect to the current basis (from QuasiNewtonOptions) of

\[T^{S}_{x_k, α_k η_k}(α_k η_k) \quad\text{and}\quad \operatorname{grad}f(x_{k+1}) - T^{S}_{x_k, α_k η_k}(\operatorname{grad}f(x_k)) ∈ T_{x_{k+1}} \mathcal{M},\]

respectively.

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Manopt.InverseBroyden — Type

InverseBroyden <: AbstractQuasiNewtonUpdateRule

Indicates in AbstractQuasiNewtonDirectionUpdate that the Riemanian Broyden update is used in the Riemannian quasi-Newton method, which is as a convex combination of InverseBFGS and InverseDFP.

We denote by $\widetilde{H}_k^\mathrm{Br}$ the operator concatenated with a vector transport and its inverse before and after to act on $x_{k+1} = R_{x_k}(α_k η_k)$. Then the update formula reads

\[B^\mathrm{Br}_{k+1} = \widetilde{B}^\mathrm{Br}_k - \frac{\widetilde{B}^\mathrm{Br}_k y_k y^{\mathrm{T}}_k \widetilde{B}^\mathrm{Br}_k}{y^{\mathrm{T}}_k \widetilde{B}^\mathrm{Br}_k y_k} + \frac{s_k s^{\mathrm{T}}_k}{s^{\mathrm{T}}_k y_k} + φ_k y^{\mathrm{T}}_k \widetilde{B}^\mathrm{Br}_k y_k \Bigl( \frac{s_k}{s^{\mathrm{T}}_k y_k} - \frac{\widetilde{B}^\mathrm{Br}_k y_k}{y^{\mathrm{T}}_k \widetilde{B}^\mathrm{Br}_k y_k} \Bigr) \Bigl( \frac{s_k}{s^{\mathrm{T}}_k y_k} - \frac{\widetilde{B}^\mathrm{Br}_k y_k}{y^{\mathrm{T}}_k \widetilde{B}^\mathrm{Br}_k y_k} \Bigr)^{\mathrm{T}}\]

where $s_k$ and $y_k$ are the coordinate vectors with respect to the current basis (from QuasiNewtonOptions) of

\[T^{S}_{x_k, α_k η_k}(α_k η_k) \quad\text{and}\quad \operatorname{grad}f(x_{k+1}) - T^{S}_{x_k, α_k η_k}(\operatorname{grad}f(x_k)) ∈ T_{x_{k+1}} \mathcal{M},\]

respectively, and $φ_k$ is the Broyden factor which is :constant by default but can also be set to :Davidon.

Constructor

InverseBroyden(φ, update_rule::Symbol = :constant)

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Manopt.InverseSR1 — Type

InverseSR1 <: AbstractQuasiNewtonUpdateRule

indicates in AbstractQuasiNewtonDirectionUpdate that the inverse Riemanian SR1 update is used in the Riemannian quasi-Newton method.

We denote by $\widetilde{B}_k^\mathrm{SR1}$ the operator concatenated with a vector transport and its inverse before and after to act on $x_{k+1} = R_{x_k}(α_k η_k)$. Then the update formula reads

\[B^\mathrm{SR1}_{k+1} = \widetilde{B}^\mathrm{SR1}_k + \frac{ (s_k - \widetilde{B}^\mathrm{SR1}_k y_k) (s_k - \widetilde{B}^\mathrm{SR1}_k y_k)^{\mathrm{T}} }{ (s_k - \widetilde{B}^\mathrm{SR1}_k y_k)^{\mathrm{T}} y_k }\]

where $s_k$ and $y_k$ are the coordinate vectors with respect to the current basis (from QuasiNewtonOptions) of

\[T^{S}_{x_k, α_k η_k}(α_k η_k) \quad\text{and}\quad \operatorname{grad}f(x_{k+1}) - T^{S}_{x_k, α_k η_k}(\operatorname{grad}f(x_k)) ∈ T_{x_{k+1}} \mathcal{M},\]

respectively.

This method can be stabilized by only performing the update if denominator is larger than $r\lVert y_k\rVert_{x_{k+1}}\lVert s_k - \widetilde{H}^\mathrm{SR1}_k y_k \rVert_{x_{k+1}}$ for some $r>0$. For more details, see Section 6.2 in ^{[NocedalWright2006]}.

Constructor

InverseSR1(r::Float64=-1.0)

Generate the InverseSR1 update, which by default does not include the check, since the default sets $t<0$`.

source

Options

The quasi Newton algorithm is based on a GradientProblem.

Manopt.QuasiNewtonOptions — Type

QuasiNewtonOptions <: Options

These Quasi Newton Options represent any quasi-Newton based method and can be used with any update rule for the direction.

Fields

x – the current iterate, a point on a manifold
gradient – the current gradient
sk – the current step
yk the current gradient difference
direction_update - an AbstractQuasiNewtonDirectionUpdate rule.
retraction_method – an AbstractRetractionMethod
stop – a StoppingCriterion

Constructor

QuasiNewtonOptions(
    M::AbstractManifold,
    x;
    initial_vector=zero_vector(M,x),
    direction_update::D=QuasiNewtonLimitedMemoryDirectionUpdate(M, x, InverseBFGS(), 20;
        vector_transport_method=vector_transport_method,
    )
    stopping_criterion=StopAfterIteration(1000) | StopWhenGradientNormLess(1e-6),
    retraction_method::RM=default_retraction_method(M),
    vector_transport_method::VTM=default_vector_transport_method(M),
    stepsize=WolfePowellLinesearch(M; retraction_method, vector_transport_method, linesearch_stopsize=1e-12,
)

See also

GradientProblem

source

Literature

HuangGallivanAbsil2015
Huang, Wen and Gallivan, K. A. and Absil, P.-A., A Broyden Class of Quasi-Newton Methods for Riemannian Optimization, SIAM J. Optim., 25 (2015), pp. 1660-1685. doi: 10.1137/140955483
HuangAbsilGallivan2018
Huang, Wen and Absil, P.-A and Gallivan, Kyle, A Riemannian BFGS Method Without Differentiated Retraction for Nonconvex Optimization Problems, SIAM J. Optim., 28 (2018), pp. 470-495. doi: 10.1137/17M1127582
NocedalWright2006
Nocedal, J., Wright, S.: Numerical Optimization, Second Edition, Springer, 2006. doi: 10.1007/978-0-387-40065-5